SPSB
SPDR Portfolio Short Term Corporate Bond ETF
TREND FOLLOWING PERFORMANCE HISTORY
2026-07-26
Executive Summary
The quantitative backtest for SPSB (SPDR Portfolio Short Term Corporate Bond ETF) using the Moving Average (50/200)* strategy in a Investing context demonstrated its primary role in risk mitigation, experiencing a maximum drawdown of -11.8% (compared to the benchmark's drawdown of -11.8%). Over the evaluated period, this protective approach generated a Compound Annual Growth Rate (CAGR) of 2.3%, compared to a Buy-and-Hold benchmark return of 2.4%. The strategy executed 4 total trades.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
* Moving Average (50/200): Classic Moving Average Crossover (e.g., 50-day crossing 200-day). The foundational basis of research-grade trend following.
📊 Mathematical Model
Excess Return MMA
Advanced Ensemble: Uses multiple signal layers for maximum trend stability and noise reduction.
Excess Return MMA CA
Advanced Dynamic Sleeve: MMA ensemble signals on the primary asset combined with a momentum-based cash alternative ETF rotation.
Excess Return SMA
Standard Signal: Classical quantitative trend following optimized for reliable directionality.
Moving Average (50/200) Active
Moving Average: The baseline 50/200-day crossover model used by technical analysts worldwide.
🎯 Investment Objective
🛡️ Long-Term Investing Active
Ideal for wealth preservation and multi-year horizons. Optimized for low turnover and tax efficiency.
⚔️ Tactical Trading
Ideal for active capital rotation and momentum-first accounts. Optimized for high sensitivity to price shifts.
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SPSB Quality Metrics & KPI Summary
| Metric | 1Y | 5Y | 10Y | Full History | ||||
|---|---|---|---|---|---|---|---|---|
| Strategy | B&H | Strategy | B&H | Strategy | B&H | Strategy | B&H | |
| CAGR | 3.68% | 3.68% | 3.70% | 2.75% | 2.69% | 2.60% | 2.34% | 2.37% |
| Sharpe Ratio | 2.64 | 2.64 | 2.40 | 1.36 | 0.92 | 0.84 | 0.93 | 0.88 |
| Max Drawdown | -0.87% | -0.87% | -1.38% | -5.96% | -11.75% | -11.75% | -11.75% | -11.75% |
| % Time Invested | 100.0% | 100.0% | 76.7% | 100.0% | 83.1% | 100.0% | 87.5% | 100.0% |
| Trades / Year | 0.0 | 0.0 | 0.0 | 0.0 | 0.2 | 0.0 | 0.3 | 0.0 |
Cumulative Growth Performance
Return Distribution Analysis
Trade History
This log shows every signal-driven transition. Completed trades reflect standard market cycles. An Open or Mark-to-Market exit denotes an active position (either in the primary asset or a cash/yield sleeve) valued at the current price for reporting purposes. Interest entries record yield accrued from cash or cash alternatives (like BIL) during out-of-market defensive periods.
| Entry Date | Exit Date | Type | Allocation | Entry Price | Exit Price | Net Return % | Exit Reason | |
|---|---|---|---|---|---|---|---|---|
| 🔒 Active Positions & Recent Execution Signals Hidden Trading on delayed data carries high execution risk. Current allocations, pending next-day rebalances, and active execution signals (last 60 days) require a Premium subscription. Upgrade to Pro to Unlock | ||||||||
| 2021-11-18 | 2023-01-19 | Interest (CASH) | 100% | $1.00 | $1.02 | 2.29% | Interest Income | |
| 2020-05-29 | 2021-11-18 | Completed | 100% | $25.57 | $26.00 | 1.65% | Signal | |
| 2020-04-02 | 2020-05-29 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.02% | Interest Income | |
| 2018-07-10 | 2020-04-02 | Completed | 100% | $23.52 | $24.65 | 4.77% | Signal | |
| 2018-02-23 | 2018-07-10 | Interest (CASH) | 100% | $1.00 | $1.01 | 0.68% | Interest Income | |
| 2013-09-24 | 2018-02-23 | Completed | 100% | $22.12 | $23.40 | 5.73% | Signal | |
| 2013-08-30 | 2013-09-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |
| 2012-01-24 | 2013-08-30 | Completed | 100% | $21.37 | $22.00 | 2.89% | Signal | |
| 2011-12-22 | 2012-01-24 | Interest (CASH) | 100% | $1.00 | $1.00 | 0.00% | Interest Income | |